Articlegreen2009

L p -solution of reflected generalized BSDEs with non-Lipschitz coefficients

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

Abstract In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) on a fixed time interval by use of some new technical aspects of the stochastic calculus related to the reflected generalized BSDE. Here, existence and uniqueness of solution is proved under a non-Lipschitz condition on the coefficients.

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations 2003Lp solutions of backward stochastic differential equations 1997Backward stochastic differential equations with continuous coefficient 1995Zero-sum stochastic differential games and backward equations 1998Generalized BSDEs and nonlinear Neumann boundary value problems

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